Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data...
Bokhari, Sheharyar; Geltner, David
2010-07-22 00:00:00
Indexes of commercial property prices face much scarcer transactions data than housing indexes, yet the advent of tradable derivatives on commercial property places a premium on both high frequency and accuracy of such indexes. The dilemma is that with scarce data a low-frequency return index (such as annual) is necessary to accumulate enough sales data in each period. This paper presents an approach to address this problem using a two-stage frequency conversion procedure, by first estimating lower-frequency indexes staggered in time, and then applying a generalized inverse estimator to convert from lower to higher frequency return series. The two-stage procedure can improve the accuracy of high-frequency indexes in scarce data environments. In this paper the method is demonstrated and analyzed by application to empirical commercial property repeat-sales data.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngThe Journal of Real Estate Finance and EconomicsSpringer Journalshttp://www.deepdyve.com/lp/springer-journals/estimating-real-estate-price-movements-for-high-frequency-tradable-5ubfnlC5XR